public void TotalPnlLongIsTheSumOfRealizedAndUnrealizedPnlForShortPositions()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
trade.Orders = new List<Order>
{
new Order { Instrument = _inst, Quantity = -10, FXRateToBase = 1, Price = 100, BuySell = "BUY", TradeDate = date },
new Order { Instrument = _inst, Quantity = 5, FXRateToBase = 1, Price = 95, BuySell = "SELL", TradeDate = date }
};
var tracker = new TradeTracker(trade, 1);
foreach (Order o in trade.Orders)
{
tracker.AddOrder(o);
}
var data = new Dictionary<int, TimeSeries> {
{ 1, TimeSeriesGenerator.GenerateData(date, date, 90) }
};
foreach (TimeSeries ts in data.Values)
{
ts.ProgressTo(date);
}
tracker.Update(date, data, null);
Assert.AreEqual(5 * 5 + 10 * 5, tracker.TotalPnL);
Assert.AreEqual(5 * 5 + 10 * 5, tracker.TotalPnlShort);
}
public void UpdateStats(Trade trade, bool skipCollectionLoad = false)
{
var tradeEntry = Context.Entry(trade);
if (!skipCollectionLoad && //used to bypass annoyances w/ automated testing
tradeEntry.State != EntityState.Added &&
tradeEntry.State != EntityState.Detached) //trade entry state check, otherwise the load is meaningless and will cause a crash
{
tradeEntry.Collection(x => x.Orders).Load();
tradeEntry.Collection(x => x.CashTransactions).Load();
tradeEntry.Collection(x => x.FXTransactions).Load();
}
DateTime openDate = DetermineStartingDate(trade, Context);
//Dates
trade.DateOpened = openDate;
if (trade.Open)
{
trade.DateClosed = null;
}
else
{
SetClosingDate(trade);
}
TradeTracker tracker = TradeSim.SimulateTrade(trade, Context, Datasourcer, _optionsCapitalUsageMultiplier);
tracker.SetTradeStats(trade);
}
public TradeViewModel(Trade trade, IDataSourcer dataSourcer, IDBContext context) : base(null)
{
context.Trades
.Where(x => x.ID == trade.ID)
.Include(x => x.Strategy)
.Include(x => x.Orders)
.Include("Orders.Instrument")
.Include("Orders.Currency")
.Include(x => x.CashTransactions)
.Include("CashTransactions.Instrument")
.Include("CashTransactions.Currency")
.Include(x => x.FXTransactions)
.Include("FXTransactions.FunctionalCurrency")
.Include("FXTransactions.FXCurrency")
.Load();
Trade = trade;
Tracker = TradeSim.SimulateTrade(trade, context, dataSourcer, Properties.Settings.Default.optionsCapitalUsageMultiplier);
}
/// <summary>
/// Simulate the trade and update its stats. Does not save to db.
/// </summary>
/// <param name="trade"></param>
/// <returns></returns>
public async Task UpdateStats(Trade trade)
{
DateTime openDate = DetermineStartingDate(trade);
//Dates
trade.DateOpened = openDate;
if (trade.Open)
{
trade.DateClosed = null;
}
else
{
SetClosingDate(trade);
}
TradeTracker tracker = await TradeSim.SimulateTrade(trade, _contextFactory, _dataSourcer, _settings.OptionsCapitalUsageMultiplier);
tracker.SetTradeStats(trade);
}
public TradeViewModel(Trade trade, IDataSourcer dataSourcer, IDBContext context) : base(null)
{
context.Trades
.Where(x => x.ID == trade.ID)
.Include(x => x.Strategy)
.Include(x => x.Orders)
.Include("Orders.Instrument")
.Include("Orders.Currency")
.Include(x => x.CashTransactions)
.Include("CashTransactions.Instrument")
.Include("CashTransactions.Currency")
.Include(x => x.FXTransactions)
.Include("FXTransactions.FunctionalCurrency")
.Include("FXTransactions.FXCurrency")
.Load();
Trade = trade;
Tracker = TradeSim.SimulateTrade(trade, context, dataSourcer, Properties.Settings.Default.optionsCapitalUsageMultiplier);
}
public void TotalPnlLongIsTheSumOfRealizedAndUnrealizedPnlForCurrencyPositions()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
var fxCurrency = new Currency { ID = 2, Name = "CAD" };
trade.FXTransactions = new List<FXTransaction>
{
new FXTransaction { FXCurrency = fxCurrency, Quantity = 1000, Proceeds = 1500, Cost = -1500 },
new FXTransaction { FXCurrency = fxCurrency, Quantity = -500, Proceeds = -850, Cost = 850 },
};
var tracker = new TradeTracker(trade, 1);
foreach (FXTransaction fxt in trade.FXTransactions)
{
tracker.AddFXTransaction(fxt);
}
var data = new Dictionary<int, TimeSeries> {
{ 2, TimeSeriesGenerator.GenerateData(date, date, 1.55m) }
};
foreach (TimeSeries ts in data.Values)
{
ts.ProgressTo(date);
}
tracker.Update(date, new Dictionary<int, TimeSeries>(), data);
Assert.AreEqual(100 + 500 * (1.55m - 1.5m), tracker.TotalPnL);
}
public void TodaysPnlResetsEvenWhenTrackerIsNotOpen()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
trade.Orders = new List<Order>
{
new Order { Instrument = _inst, Quantity = -10, FXRateToBase = 1, Price = 100, BuySell = "BUY", TradeDate = date },
new Order { Instrument = _inst, Quantity = 5, FXRateToBase = 1, Price = 95, BuySell = "SELL", TradeDate = date }
};
var tracker = new TradeTracker(trade, 1);
foreach (Order o in trade.Orders)
{
tracker.AddOrder(o);
}
var data = new Dictionary<int, TimeSeries> {
{ 1, TimeSeriesGenerator.GenerateData(date, date.AddDays(1), 90) }
};
foreach (TimeSeries ts in data.Values)
{
ts.ProgressTo(date);
}
tracker.Update(date, data, null);
Assert.AreEqual(5 * 5 + 10 * 5, tracker.TodaysPnL);
data[1].ProgressTo(date.AddDays(1));
tracker.Update(date.AddDays(1), data, null);
Assert.AreEqual(0, tracker.TodaysPnL);
}
public void AddingOrderInForeignCurrencyResultsInFxPositionAddition()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
var eur = new Currency { ID = 2, Name = "EUR" };
trade.Orders = new List<Order>
{
new Order { Instrument = _inst, Quantity = 10, FXRateToBase = 1.5m, Multiplier = 1, Price = 100, BuySell = "BUY", TradeDate = date, Currency = eur, CurrencyID = 2 },
};
var tracker = new TradeTracker(trade, 1);
foreach (Order o in trade.Orders)
{
tracker.AddOrder(o);
}
Assert.IsTrue(tracker.CurrencyPositions.ContainsKey(2));
Assert.IsTrue(tracker.CurrencyPositions[2].Quantity == -10 * 100);
Assert.IsTrue(tracker.CurrencyPositions[2].CostBasis == 1.5m);
}
public void AddingCashTransactionInForeignCurrencyResultsInFxPositionAddition()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
var eur = new Currency { ID = 2, Name = "EUR" };
var ct = new CashTransaction { InstrumentID = 1, Currency = eur, CurrencyID = 2, Amount = 50, FXRateToBase = 1.5m, Instrument = _inst, TransactionDate = date, AssetCategory = AssetClass.Stock };
trade.CashTransactions = new List<CashTransaction> { ct };
var tracker = new TradeTracker(trade, 1);
foreach (CashTransaction c in trade.CashTransactions)
{
tracker.AddCashTransaction(c);
}
Assert.IsTrue(tracker.CurrencyPositions.ContainsKey(2));
Assert.IsTrue(tracker.CurrencyPositions[2].Quantity == 50);
Assert.IsTrue(tracker.CurrencyPositions[2].CostBasis == 1.5m);
}
public static async Task <TradeTracker> SimulateTrade(Trade trade, IContextFactory contextFactory, IDataSourcer dataSourcer, decimal optionsCapitalUsageMultiplier)
{
var tracker = new TradeTracker(trade, optionsCapitalUsageMultiplier);
//starting and ending dates
DateTime startDate = trade.DateOpened;
DateTime endDate;
if (!trade.Open && trade.DateClosed != null)
{
endDate = trade.DateClosed.Value.Date;
}
else
{
using (var dbContext = contextFactory.Get())
{
var lastSummary = dbContext.EquitySummaries.OrderByDescending(x => x.Date).First();
endDate = lastSummary.Date.Date;
}
}
var orders = trade.Orders == null
? new List <Order>()
: trade.Orders.OrderBy(x => x.TradeDate).ToList();
var cashTransactions = trade.CashTransactions == null
? new List <CashTransaction>()
: trade.CashTransactions.OrderBy(x => x.TransactionDate).ToList();
var fxTransactions = trade.FXTransactions == null
? new List <FXTransaction>()
: trade.FXTransactions.OrderBy(x => x.DateTime).ToList();
//Grab the data
Dictionary <int, TimeSeries> data = await GetInstrumentData(trade, dataSourcer, startDate, endDate);
Dictionary <int, TimeSeries> fxData = GetFXData(trade, contextFactory);
DateTime currentDate = startDate.Date;
//Loop through the dates
while (currentDate <= endDate)
{
//Progress time series to current date
foreach (TimeSeries ts in data.Values)
{
ts.ProgressTo(currentDate);
}
foreach (TimeSeries ts in fxData.Values)
{
ts.ProgressTo(currentDate);
}
//Add orders
while (orders.Count > 0 && orders[0].TradeDate.Date <= currentDate)
{
tracker.AddOrder(orders[0]);
orders.RemoveAt(0);
}
//Add cash transactions
while (cashTransactions.Count > 0 && cashTransactions[0].TransactionDate.Date <= currentDate)
{
tracker.AddCashTransaction(cashTransactions[0]);
cashTransactions.RemoveAt(0);
}
//add fx transactions
while (fxTransactions.Count > 0 && fxTransactions[0].DateTime.Date <= currentDate)
{
tracker.AddFXTransaction(fxTransactions[0]);
fxTransactions.RemoveAt(0);
}
tracker.Update(currentDate, data, fxData);
if (orders.Count == 0 && cashTransactions.Count == 0 && fxTransactions.Count == 0 && !tracker.Open)
{
break;
}
currentDate = currentDate.AddDays(1);
}
return(tracker);
}
public static TradeTracker SimulateTrade(Trade trade, IDBContext context, IDataSourcer dataSourcer, decimal optionsCapitalUsageMultiplier)
{
var tracker = new TradeTracker(trade, optionsCapitalUsageMultiplier);
//starting and ending dates
DateTime startDate = trade.DateOpened;
DateTime endDate;
if(!trade.Open && trade.DateClosed != null)
{
endDate = trade.DateClosed.Value.Date;
}
else
{
var lastSummary = context.EquitySummaries.OrderByDescending(x => x.Date).First();
endDate = lastSummary.Date.Date;
}
var orders = trade.Orders == null
? new List<Order>()
: trade.Orders.OrderBy(x => x.TradeDate).ToList();
var cashTransactions = trade.CashTransactions == null
? new List<CashTransaction>()
: trade.CashTransactions.OrderBy(x => x.TransactionDate).ToList();
var fxTransactions = trade.FXTransactions == null
? new List<FXTransaction>()
: trade.FXTransactions.OrderBy(x => x.DateTime).ToList();
//Grab the data
Dictionary<int, TimeSeries> data = GetInstrumentData(trade, dataSourcer, startDate, endDate);
Dictionary<int, TimeSeries> fxData = GetFXData(trade, context);
DateTime currentDate = startDate.Date;
//Loop through the dates
while (currentDate <= endDate)
{
//Progress time series to current date
foreach (TimeSeries ts in data.Values)
{
ts.ProgressTo(currentDate);
}
foreach (TimeSeries ts in fxData.Values)
{
ts.ProgressTo(currentDate);
}
//Add orders
while (orders.Count > 0 && orders[0].TradeDate.Date <= currentDate)
{
tracker.AddOrder(orders[0]);
orders.RemoveAt(0);
}
//Add cash transactions
while (cashTransactions.Count > 0 && cashTransactions[0].TransactionDate.Date <= currentDate)
{
tracker.AddCashTransaction(cashTransactions[0]);
cashTransactions.RemoveAt(0);
}
//add fx transactions
while (fxTransactions.Count > 0 && fxTransactions[0].DateTime.Date <= currentDate)
{
tracker.AddFXTransaction(fxTransactions[0]);
fxTransactions.RemoveAt(0);
}
tracker.Update(currentDate, data, fxData);
if (orders.Count == 0 && cashTransactions.Count == 0 && fxTransactions.Count == 0 && !tracker.Open) break;
currentDate = currentDate.AddDays(1);
}
return tracker;
}
